An Extension of the d-Variate FGM Copula with Application: Accepted February 2026
We introduce an extended d-variate Farlie–Gumbel–Morgenstern (FGM) copula that incorporates additional parameters based on Legendre polynomials to enhance the representation of multivariate dependence structures. Within an i.i.d. framework, we derive closed-form estimators for these parameters and establish their unbiasedness, consistency, and asymptotic normality. A simulation study illustrates the finite-sample performance of the estimators. The model is applied to the IMS Bearing Dataset, previously studied by Ota and Kimura (2021) through a d-variate FGM copula and by Longla and Hamadou (2025) using an extended bivariate FGM copula. Our analysis shows that the classical d-variate FGM copula does not adequately represent the dependence in this dataset. Based on estimation results and model selection criteria, we propose a reduced version of the extended model as a more appropriate copula specification for the IMS Bearing Dataset.
Authors
- Mous-Abou Hamadou
- Martial Longla (ORCID: https://orcid.org/0000-0002-9432-0640)
- MousAbou Hamadou
Institutions
- University of Mississippi (US)
- Quinnipiac University (US)
Publication Details
- Journal
- Portuguese National Funding Agency for Science, Research and Technology (RCAAP Project by FCT)
- Published
- 2026-02-03
- Primary Topic
- Financial Risk and Volatility Modeling
- Type
- article
- Field-Weighted Citation Impact
- 0.00